Departamento de Economía
2023-09-06
Cartera comercial de bancos
Agradecimientos
Esta sesión se construye a partir de los elementos de los paquetes de tseries y (Krispin 2019), quien desarrolló el paquete TSstudio respectivamente
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# Augmented Dickey-Fuller Test Unit Root Test #
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Test regression none
Call:
lm(formula = z.diff ~ z.lag.1 - 1)
Residuals:
Min 1Q Median 3Q Max
-8614 -1856 -262 1731 14834
Coefficients:
Estimate Std. Error t value Pr(>|t|)
z.lag.1 0.0068402 0.0008212 8.329 1.14e-12 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 3653 on 86 degrees of freedom
Multiple R-squared: 0.4465, Adjusted R-squared: 0.4401
F-statistic: 69.38 on 1 and 86 DF, p-value: 1.139e-12
Value of test-statistic is: 8.3292
Critical values for test statistics:
1pct 5pct 10pct
tau1 -2.6 -1.95 -1.61
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# Augmented Dickey-Fuller Test Unit Root Test #
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Test regression drift
Call:
lm(formula = z.diff ~ z.lag.1 + 1)
Residuals:
Min 1Q Median 3Q Max
-8991.9 -1598.5 365.7 1936.5 14876.5
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -4.283e+03 2.453e+03 -1.746 0.08443 .
z.lag.1 1.571e-02 5.144e-03 3.054 0.00302 **
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 3610 on 85 degrees of freedom
Multiple R-squared: 0.09887, Adjusted R-squared: 0.08827
F-statistic: 9.326 on 1 and 85 DF, p-value: 0.003017
Value of test-statistic is: 3.0538 37.0386
Critical values for test statistics:
1pct 5pct 10pct
tau2 -3.51 -2.89 -2.58
phi1 6.70 4.71 3.86
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# Augmented Dickey-Fuller Test Unit Root Test #
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Test regression trend
Call:
lm(formula = z.diff ~ z.lag.1 + 1 + tt)
Residuals:
Min 1Q Median 3Q Max
-8860.2 -1405.5 318.1 1848.6 14698.6
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 8.965e+02 6.550e+03 0.137 0.891
z.lag.1 1.964e-04 1.890e-02 0.010 0.992
tt 4.831e+01 5.663e+01 0.853 0.396
Residual standard error: 3616 on 84 degrees of freedom
Multiple R-squared: 0.1066, Adjusted R-squared: 0.08534
F-statistic: 5.012 on 2 and 84 DF, p-value: 0.008785
Value of test-statistic is: 0.0104 24.856 5.0119
Critical values for test statistics:
1pct 5pct 10pct
tau3 -4.04 -3.45 -3.15
phi2 6.50 4.88 4.16
phi3 8.73 6.49 5.47
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# Augmented Dickey-Fuller Test Unit Root Test #
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Test regression trend
Call:
lm(formula = z.diff ~ z.lag.1 + 1 + tt)
Residuals:
Min 1Q Median 3Q Max
-8738.8 -1752.5 150.9 1714.3 13670.4
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 512.7969 731.5826 0.701 0.4853
z.lag.1 -0.6126 0.1010 -6.066 3.74e-08 ***
tt 31.7379 15.3805 2.064 0.0422 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 3336 on 83 degrees of freedom
Multiple R-squared: 0.3072, Adjusted R-squared: 0.2905
F-statistic: 18.4 on 2 and 83 DF, p-value: 2.433e-07
Value of test-statistic is: -6.0661 12.2669 18.3991
Critical values for test statistics:
1pct 5pct 10pct
tau3 -4.04 -3.45 -3.15
phi2 6.50 4.88 4.16
phi3 8.73 6.49 5.47
Ljung-Box test
data: Residuals from ARIMA(1,1,0)
Q* = 37.168, df = 17, p-value = 0.003193
Model df: 1. Total lags used: 18
Point Forecast Lo 80 Hi 80 Lo 95 Hi 95
May 2023 640573.6 635965.9 645181.4 633526.7 647620.6
Jun 2023 641772.5 632792.5 650752.5 628038.7 655506.2
Jul 2023 642579.0 629291.8 655866.3 622258.0 662900.1
Aug 2023 643121.7 625746.0 660497.3 616547.9 669695.4
Sep 2023 643486.8 622289.9 664683.6 611069.0 675904.5
Oct 2023 643732.4 618983.1 668481.6 605881.7 681583.1
Nov 2023 643897.6 615846.9 671948.4 600997.7 686797.5
Dec 2023 644008.8 612882.6 675134.9 596405.5 691612.1
Jan 2024 644083.6 610082.3 678084.8 592083.1 696084.0
Feb 2024 644133.9 607433.6 680834.2 588005.6 700262.2
Mar 2024 644167.8 604922.8 683412.7 584147.8 704187.7
Apr 2024 644190.5 602536.5 685844.6 580486.2 707894.9
Universidad del Norte